import sim
import klib
import plotly.express as px
pwd
'/home/ubuntu/work/klib'
backtest_log_path = "sample_log/run_backtest/build_pos-20220114-20220517-20295"
s = sim.Sim(backtest_log_path)
df_summary = s.read_summary()
suffix: 20220114-20220517 sample_log/run_backtest/build_pos-20220114-20220517-20295/backtest/account_settlement-20220114-20220517.csv file found.
s.read_trades("20220106", "20220517")
| exchange | order_ref | trade_id | instrument_id | strategy_id | account_id | direction | offset | price | qty | |
|---|---|---|---|---|---|---|---|---|---|---|
| timestamp | ||||||||||
| 2022-01-14 21:01:17.012 | DCE | 202201171234 | 123450101 | i2209 | 1234 | 12345678 | SELL | OPEN | 688.0 | 2 |
| 2022-01-17 14:55:00.563 | DCE | 202201171235 | 123460101 | i2209 | 1234 | 12345678 | BUY | CLOSE_TODAY | 677.0 | 2 |
| 2022-01-17 21:01:00.913 | DCE | 202201181234 | 124470101 | i2209 | 1234 | 12345678 | BUY | OPEN | 680.0 | 4 |
| 2022-01-18 14:55:01.475 | DCE | 202201181235 | 124480101 | i2209 | 1234 | 12345678 | SELL | CLOSE_TODAY | 685.5 | 4 |
| 2022-01-18 21:01:00.521 | DCE | 202201191234 | 125490101 | i2209 | 1234 | 12345678 | BUY | OPEN | 692.0 | 1 |
| ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... |
| 2022-05-13 14:55:39.860 | DCE | 202205131235 | 127590101 | i2209 | 1234 | 12345678 | SELL | CLOSE_TODAY | 824.0 | 100 |
| 2022-05-13 21:01:00.456 | DCE | 202205161234 | 128600101 | i2209 | 1234 | 12345678 | BUY | OPEN | 822.5 | 25 |
| 2022-05-16 14:55:00.440 | DCE | 202205161235 | 128610101 | i2209 | 1234 | 12345678 | SELL | CLOSE_TODAY | 827.5 | 25 |
| 2022-05-16 21:01:00.680 | DCE | 202205171234 | 129620101 | i2209 | 1234 | 12345678 | SELL | OPEN | 839.5 | 17 |
| 2022-05-17 14:55:00.051 | DCE | 202205171235 | 129630101 | i2209 | 1234 | 12345678 | BUY | CLOSE_TODAY | 832.0 | 17 |
134 rows × 10 columns
px.bar(df_summary, df_summary.index, y = "net_pnl", title = "daily netpnl")
pure_value = df_summary.balance/df_summary.pre_balance[0]
px.line(pure_value, title = "净值")
brief_summary = klib.get_brief_summary(df_summary)
display(brief_summary)
| 交易日 | 开始日 | 结束日 | 起始资金 | 结束资金 | 净值 | 胜率 | 盈亏比 | 总盈利 | 手续费 | 夏普 | 回撤 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0 | 88 | 2022-01-14 | 2022-05-17 | 2000000.0 | 2986897.415 | 1.493449 | 0.454545 | 2.182277 | 986897.415 | 21952.585 | 2.86832 | -121070.145 |